| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5083067 | International Review of Economics & Finance | 2017 | 39 Pages |
â¢This paper investigates the relationship between oil price shocks and the stock market liquidity in China.â¢The specific source of oil variations really matters a lot.â¢Stock market liquidity only increases when the positive oil price shocks come from oil-specific demand side. When the oil price shocks are from oil supply side or the aggregate demand side, stock market liquidity negatively comoves with oil price.
In this paper we investigate whether and how different oil price shocks affect the stock market liquidity in China. Our empirical results show that stock market liquidity only increases when the positive oil price shocks come from oil-specific demand side. When the oil price shocks are from oil supply side or the aggregate demand side, stock market liquidity negatively comoves with oil price.
